"About 350 banks and investors are thought to have insured an estimated $400 billion of Lehman’s debt through complex derivatives, known as credit default swaps. These include Pacific Investment Management, the manager of the world’s largest bond fund, Citadel, the US hedge fund, and American International Group, the insurer that the US Government recently bailed out with two loans totalling about $123 billion."

In addition, JP Morgan gave the following chart of European banks' counterparty risk on Lehman a couple of weeks ago:

Those banks apparently also got nailed.

The Royal Bank of Scotland probably also got creamed. An article in the Guardian states:

"[An analyst] singled out Barclays and Royal Bank of Scotland as being most exposed among the UK banks to the credit derivatives market. Both have bought and sold, in roughly equal measure, £2.4 trillion of such contracts. [He] believes Barclays and RBS are highly likely to be prominent among those required to pay out on Lehman CDSs."

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